EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Nonlinear Numerical Analysis"
Narrow search

Narrow search

Year of publication
Subject
All
Illiquid Markets 1 Nonlinear Numerical Analysis 1 Option Pricing 1 Simulation 1
Online availability
All
Undetermined 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
Company, Rafael 1 Jódar, Lucas 1 Pintos, José-Ramón 1
Published in...
All
Mathematics and Computers in Simulation (MATCOM) 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
Company, Rafael; Jódar, Lucas; Pintos, José-Ramón - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 10, pp. 1972-1985
Markets liquidity is an issue of very high concern in financial risk management. In a perfect liquid market the option pricing model becomes the well-known linear Black–Scholes problem. Nonlinear models appear when transaction costs or illiquid market effects are taken into account. This paper...
Persistent link: https://www.econbiz.de/10011050870
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...